Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0566 |
| Annualized Std Dev | 0.5959 |
| Annualized Sharpe (Rf=0%) | -0.0950 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3549.0000 |
| NAs | 1.0000 |
| Minimum | -0.3113 |
| Quartile 1 | -0.0122 |
| Median | 0.0015 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0143 |
| Maximum | 0.2714 |
| SE Mean | 0.0006 |
| LCL Mean (0.95) | -0.0008 |
| UCL Mean (0.95) | 0.0017 |
| Variance | 0.0014 |
| Stdev | 0.0375 |
| Skewness | -0.1187 |
| Kurtosis | 11.8686 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0269 |
| Gain Deviation | 0.0290 |
| Loss Deviation | 0.0310 |
| Downside Deviation (MAR=210%) | 0.0306 |
| Downside Deviation (Rf=0%) | 0.0267 |
| Downside Deviation (0%) | 0.0267 |
| Maximum Drawdown | 0.9797 |
| Historical VaR (95%) | -0.0535 |
| Historical ES (95%) | -0.0929 |
| Modified VaR (95%) | -0.0535 |
| Modified ES (95%) | -0.0670 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-02-21 | 2009-03-06 | NA | -0.9797 | 3541 | 510 | NA |
| 2007-02-09 | 2007-02-13 | 2007-02-14 | -0.0264 | 3 | 2 | 1 |
| 2007-02-05 | 2007-02-05 | 2007-02-06 | -0.0061 | 2 | 1 | 1 |
| 2007-02-15 | 2007-02-15 | 2007-02-20 | -0.0015 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | -1 | 0 | -0.1 | 1.1 | -2.3 | 0.8 | 2.8 | 3.8 | -8.2 | 6.3 | 1.9 | 4.6 |
| 2008 | 2.4 | -6.8 | 12.7 | 7.8 | -1.5 | 0.5 | 1.2 | -1.7 | 6.6 | 8.9 | -31.1 | 7.1 | -2.4 |
| 2009 | -4.7 | -11 | 3.1 | -3.1 | 3.9 | 1 | 1.8 | -9.3 | -8 | -8.3 | 0.5 | -1.1 | -31 |
| 2010 | 2.8 | 0.5 | 1.6 | -5 | -4.3 | -1.3 | 0 | 7.3 | 1.7 | 0.1 | 4 | 0.4 | 7.3 |
| 2011 | 3.7 | -4 | 1.4 | -0.3 | -6.6 | 3.7 | -0.7 | -4 | -6.5 | -8.6 | -1.4 | -1.1 | -22.7 |
| 2012 | 3.1 | 2.3 | 0.6 | 2 | -7 | 4.9 | -1.1 | 1.1 | 0.6 | 2.4 | 0 | 2.5 | 11.7 |
| 2013 | 2.5 | 0.5 | -0.9 | -2.1 | -3 | 1.1 | 3 | -1.2 | 1.8 | 0.6 | -0.8 | 0.8 | 1.9 |
| 2014 | -2.3 | 1.2 | 0.9 | 0.2 | 0.3 | 1.4 | -1.3 | 0.8 | -2.2 | 2.6 | -1.7 | -2.3 | -2.4 |
| 2015 | -2.7 | -0.7 | -0.2 | 1.3 | 0.4 | 2.6 | -0.9 | -6.6 | 0.5 | -2.5 | 2.1 | -1.8 | -8.5 |
| 2016 | -0.5 | 6.4 | 1.6 | -1.3 | 0.5 | -0.9 | -0.4 | -0.7 | 1.7 | -1.7 | 1.4 | 0.8 | 6.9 |
| 2017 | -0.4 | 4 | -0.9 | 1.2 | 2.2 | -0.3 | 1.4 | 0.7 | 0.5 | 0.2 | 0.2 | -1 | 8 |
| 2018 | 1.1 | -2.8 | 2.4 | 0.6 | 1.9 | -0.1 | 0.5 | 0 | -0.1 | 1.1 | 1.6 | 1.7 | 8.1 |
| 2019 | 0.9 | 0.9 | 3.4 | -1.2 | -2 | 1.6 | -3.1 | 0.4 | -3.2 | 2 | -0.5 | 0.7 | -0.4 |
| 2020 | -4 | -4.5 | -11.8 | -6.4 | 2.5 | -0.2 | -0.3 | 0.3 | 1.9 | -0.2 | 2.6 | 2.1 | -17.7 |
| 2021 | 3.2 | 4.8 | -3.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-02-01 119. SPY 145. 6.00e-3 0.0165 0.0211 0.0493 0.134 0.274 0.293 GLD 65.2 0.006 0.0181
2 2007-02-02 120. SPY 145. 1.40e-3 0.0186 0.0243 0.0509 0.128 0.271 0.280 GLD 64.3 -0.0144 0.0028
3 2007-02-05 120. SPY 145. 3.00e-4 0.0197 0.0224 0.0584 0.141 0.273 0.286 GLD 64.3 0.0005 0.0085
4 2007-02-06 121. SPY 145. 3.00e-4 0.0147 0.031 0.0593 0.148 0.284 0.319 GLD 64.8 0.0075 0.0089
5 2007-02-08 122. SPY 145. -1.30e-3 0.0028 0.028 0.0503 0.156 0.267 0.334 GLD 65.5 0.0138 0.0046
6 2007-02-09 119. SPY 144. -7.40e-3 -0.006 0.017 0.0385 0.137 0.257 0.332 GLD 66.1 0.0092 0.0286
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
